Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 3 5 3
Score -4.18 -1.44 -4.05
Market Cap (Millions USD) 6272.92 6317.06 5789.64
Predicted Beta 1.77 1.83 1.84
Idiosyncratic Volatility 3.7 5.61 6.05

Annualized return and volatility

IJS
Annualized Return 0.0979
Annualized Std Dev 0.2250
Annualized Sharpe (Rf=0%) 0.4349

Row

Daily Return Statistics

IJS
Observations 4966.0000
NAs 148.0000
Minimum -0.1240
Quartile 1 -0.0068
Median 0.0006
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0079
Maximum 0.0882
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0142
Skewness -0.1687
Kurtosis 5.4565

Downside Risk

IJS
Semi Deviation 0.0102
Gain Deviation 0.0098
Loss Deviation 0.0104
Downside Deviation (MAR=210%) 0.0148
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.6011
Historical VaR (95%) -0.0214
Historical ES (95%) -0.0327
Modified VaR (95%) -0.0220
Modified ES (95%) -0.0372
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2012-02-01 -0.6011 1196 455 741
2002-05-06 2002-10-09 2003-11-26 -0.3641 405 112 293
2018-08-23 2018-12-24 NA -0.2777 344 87 NA
2001-05-23 2001-09-21 2001-12-26 -0.2192 150 83 67
2015-06-24 2016-02-11 2016-07-11 -0.2054 268 164 104

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IJS
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA 1.4 0.0 0.0 0.6 1.1 0.0 3.1
2001 0.6 0.1 0.0 0.8 0.6 0.0 1.2 0.0 -2.5 0.7 0.0 0.0 1.4
2002 -0.9 1.6 0.2 0.4 0.0 -2.4 -0.8 0.0 2.9 2.2 0.0 0.0 3.1
2003 0.0 0.0 0.9 -0.2 0.0 0.4 -1.4 0.0 2.8 0.0 1.5 0.0 3.9
2004 0.0 1.6 0.4 0.0 0.8 -1.1 0.0 0.4 2.3 0.6 1.5 0.0 6.5
2005 0.5 1.1 -0.2 0.0 1.2 0.2 0.3 0.4 0.0 0.7 2.1 0.0 6.6
2006 0.7 1.3 0.0 0.0 1.9 0.0 -1.3 0.5 0.0 -1.6 -0.3 0.0 1.2
2007 0.9 -0.5 0.0 0.8 1.0 0.0 0.5 0.0 2.4 -3.7 0.0 0.0 1.4
2008 2.5 0.0 3.5 2.1 0.0 0.0 0.5 0.0 -0.4 0.0 -12.4 0.0 -5.1
2009 0.0 0.0 2.4 0.0 4.5 2.3 0.0 -2.4 -3.2 0.0 1.7 0.0 5.2
2010 0.8 2.0 1.0 0.0 -2.8 -0.7 0.0 4.0 0.5 -0.9 2.3 0.0 6.2
2011 2.2 -1.7 0.3 0.0 -3.0 1.7 -0.4 -2.2 0.0 -3.5 -0.9 0.0 -7.4
2012 2.4 0.5 0.0 -0.1 -3.1 0.0 -1.7 0.0 0.5 1.3 0.0 0.0 -0.3
2013 1.1 0.3 -1.0 -2.4 0.0 1.3 1.4 0.0 1.0 -0.2 0.0 0.0 1.4
2014 0.0 0.0 1.0 -0.2 0.0 1.1 0.0 0.0 -1.3 0.0 -1.4 0.0 -0.9
2015 0.0 0.0 -0.1 0.5 0.3 0.4 0.0 -2.8 -0.6 0.0 0.7 0.0 -1.6
2016 -0.6 1.7 0.0 0.0 0.7 0.4 -0.1 -0.1 0.0 -1.4 -0.2 0.0 0.3
2017 -0.1 1.8 0.0 0.3 1.9 0.0 0.3 0.9 0.0 -0.6 -0.5 0.0 4.0
2018 0.3 -0.3 0.0 0.1 0.6 0.0 -0.4 0.0 -1.4 1.6 0.0 0.0 0.5
2019 0.1 0.6 1.6 -1.1 0.0 0.3 -2.0 0.0 -1.9 1.7 0.0 0.1 -0.6

Row

Rolling Performance Chart

Snail Trail Chart